The Intel® Z170 Chipset is supported. Did you try it with the secure boot disable to see if works? Secure Boot requires a signed firmware.
You can check the document "Booting with NVMe* PCI Express* for Solid State Drives" for some reference examples and step by step instructions for this process.
Also, make sure you Download Intel® Solid-State Drive Data Center Family for NVMe Drivers and use it during the OS installation.